def myHMACalc(ohlc, period):
half_length = int(round((period / 2), 0))
sqrt_length = int(round(math.sqrt(period), 0))
# ohlc = df['close'].values
wmaf = WMA(ohlc, timeperiod=half_length)
wmas = WMA(ohlc, timeperiod=period)
deltawma = 2 * wmaf - wmas
# deltawma = ohlc['deltawma'].values
hma = WMA(deltawma, timeperiod=sqrt_length)
return pd.Series(hma, name="{0} period HMA.".format(period))
def ASH(close, timerperiod = 9, smooth = 2):
from talib import WMA
bull = np.full(len(close), np.nan)
bear = np.full(len(close), np.nan)
bull[1:] = 0.5*(abs(close[1:]-close[:-1])+(close[1:]-close[:-1]))
bear[1:] = 0.5*(abs(close[1:]-close[:-1])-(close[1:]-close[:-1]))
avgBull = WMA(bull, timerperiod)
avgBear = WMA(bear, timerperiod)
smoothBull = WMA(avgBull, smooth)
smoothBear = WMA(avgBear, smooth)
return smoothBull, smoothBear
def WADDAH_ATTAR_EXPLOSION(close, high, low, sensitive = 150, fast_period=20, slow_period = 40, channel_period = 20, channel_mult = 2, dead_zone=30):
from talib import MACD
from talib import BBANDS
from talib import ATR
from talib import WMA
macd, macdsignal, macdhist = MACD(close, fastperiod=fast_period, slowperiod=slow_period, signalperiod=9)
upperband, middleband, lowerband = BBANDS(close, timeperiod=channel_period, nbdevup=channel_mult, nbdevdn=channel_mult, matype=0)
ind_trend1 = np.full(len(close), np.nan)
ind_itrend1 = np.full(len(close), np.nan)
ind_explo1 = np.full(len(close), np.nan)
tr = WMA(ATR(high, low, close, 20),3)
ind_dead = tr*dead_zone / 10
for i in range(0,len(close)):
if(i<2):
continue
trend1 = (macd[i] - macd[i-1]) * sensitive;
trend2 = (macd[i-1] - macd[i-2]) * sensitive;
explo1 = (upperband[i] - lowerband[i])
#explo2 = (upperband[i-1] - lowerband[i-1])
if(trend1>=0):
ind_trend1[i]=trend1
ind_itrend1[i]=0
if(trend1<0):
ind_trend1[i]=0
ind_itrend1[i]=(trend1*-1)
ind_explo1[i] = explo1
#print(str(i)+"\t "+str(close[i])+"\t "+str(close[i])+"\t "+str(ind_trend1[i])+"\t"+str(ind_itrend1[i]))
return ind_trend1, ind_itrend1, ind_explo1, ind_dead
def binaryClassificationInThirtyMinutes(self, df):
'''
Predict the price of bitcoin in the next 30 minutes by a given df (dataframe)
Example:
binaryClassificationInThirtyMinutes(df) = 0
Parameters:
df: a dataframe with df.columns = ['open', 'high', 'low', 'close', 'volume']
Returns:
prediction: int = a prediction by the model, 0 for down, 1 for same or up
'''
# if len(df) != 34:
# # due to wma
# raise Exception("Dataframe must have 34 rows")
data = df.copy()
rsi = RSI(data['close'])
k, d = STOCH(data['high'], data['low'], data['close'])
macd, macdsignal, macdhist = MACD(data['close'],
fastperiod=12,
slowperiod=26,
signalperiod=9)
williams_r = WILLR(data['high'], data['low'], data['close'])
rate_of_change = ROC(data['close'])
on_balance_volume = OBV(data['close'], data['volume'])
weighted_moving_average = WMA(data['close'])
normalized_average_true_range = NATR(data['high'], data['low'],
data['close'])
data['rsi'] = rsi
data['k'] = k
data['d'] = d
data['macd'] = macd
data['williams_r'] = williams_r
data['rate_of_change'] = rate_of_change
data['on_balance_volume'] = on_balance_volume
data['weighted_moving_average'] = weighted_moving_average
data['normalized_average_true_range'] = normalized_average_true_range
data = data.dropna(axis=0)
data = self.normalizeDataframe(data)
with open(
pathlib.Path(__file__).resolve().parent /
"random_forest_params", "rb") as file:
model = pickle.load(file)
features = data.values
prediction = model.predict(features)
return prediction[0]
def WMAdecision(table, days=20):
decision = []
close = table['Close']
del table
data = WMA(np.array(close), days)
for i in np.arange(len(close)):
if np.isnan(data[i]):
decision.append(None)
if data[i] > close[i]:
decision.append('Sell')
if data[i] < close[i]:
decision.append('Buy')
return {'decision': decision, 'data': data}
def wma(close, length=None, asc=None, talib=None, offset=None, **kwargs):
"""Indicator: Weighted Moving Average (WMA)"""
# Validate Arguments
length = int(length) if length and length > 0 else 10
asc = asc if asc else True
close = verify_series(close, length)
offset = get_offset(offset)
mode_tal = bool(talib) if isinstance(talib, bool) else True
if close is None: return
# Calculate Result
if Imports["talib"] and mode_tal:
from talib import WMA
wma = WMA(close, length)
else:
from numpy import arange as npArange
from numpy import dot as npDot
total_weight = 0.5 * length * (length + 1)
weights_ = Series(npArange(1, length + 1))
weights = weights_ if asc else weights_[::-1]
def linear(w):
def _compute(x):
return npDot(x, w) / total_weight
return _compute
close_ = close.rolling(length, min_periods=length)
wma = close_.apply(linear(weights), raw=True)
# Offset
if offset != 0:
wma = wma.shift(offset)
# Handle fills
if "fillna" in kwargs:
wma.fillna(kwargs["fillna"], inplace=True)
if "fill_method" in kwargs:
wma.fillna(method=kwargs["fill_method"], inplace=True)
# Name & Category
wma.name = f"WMA_{length}"
wma.category = "overlap"
return wma
def WMAdecision(table, days=20):
decision = []
close = table['Close']
del table
data = WMA(np.array(close), days)
for i in np.arange(len(close)):
if np.isnan(data[i]):
decision.append(None)
if data[i] > close[i]:
decision.append(TransactionType.SELL)
if data[i] < close[i]:
decision.append(TransactionType.BUY)
return {'decision': decision, 'data': data}
#TODO revisar el csv de aeromex con los del koala en dropbox
def _calc_indicator(self, OHLCV_input):
"""
Calculates the Weighted Moving Average technical indicator using a wrapper for the TA-lib
Args:
:param OHLCV_input: the dataframe with the Open, High, Low, Close and Volume values
:type OHLCV_input: pandas DataFrame
Returns:
DataFrame with the indicators values.
"""
try:
close = OHLCV_input['close'].values[:, 0]
except IndexError:
close = OHLCV_input['close'].values
output = DataFrame(WMA(close, self.__timeperiod))
output.columns = ['WMA%d' % self.__timeperiod]
return output
def wma(close, length=None, asc=None, offset=None, **kwargs):
"""Indicator: Weighted Moving Average (WMA)"""
# Validate Arguments
close = verify_series(close)
length = int(length) if length and length > 0 else 10
asc = asc if asc else True
offset = get_offset(offset)
# Calculate Result
if Imports["talib"]:
from talib import WMA
wma = WMA(close, length)
else:
total_weight = 0.5 * length * (length + 1)
weights_ = np.arange(1, length + 1)
weights = weights_ if asc else np.flip(weights_)
def _linear(x):
return np.dot(x, weights) / total_weight
values = [
_linear(each)
for each in np.lib.stride_tricks.sliding_window_view(np.array(close), length)
]
wma_ds = Series([np.NaN] * (length - 1) + values)
wma_ds.index = close.index
# Offset
if offset != 0:
wma_ds = wma_ds.shift(offset)
# Handle fills
if "fillna" in kwargs:
wma_ds.fillna(kwargs["fillna"], inplace=True)
if "fill_method" in kwargs:
wma_ds.fillna(method=kwargs["fill_method"], inplace=True)
# Name & Category
wma_ds.name = f"WMA_{length}"
wma_ds.category = "overlap"
return wma_ds
corrected_data['Open']=corrected_data.apply(lambda x: x.Open_x if pd.isna(x.Open_y) else x.Open_y, axis=1)
corrected_data['High']=corrected_data.apply(lambda x: x.High_x if pd.isna(x.High_y) else x.High_y, axis=1)
corrected_data['Low']=corrected_data.apply(lambda x: x.Low_x if pd.isna(x.Low_y) else x.Low_y, axis=1)
corrected_data['Close']=corrected_data.apply(lambda x: x.Close_x if pd.isna(x.Close_y) else x.Close_y, axis=1)
corrected_data['Volume']=corrected_data.apply(lambda x: x.Volume_x if pd.isna(x.Volume_y) else x.Volume_y, axis=1)
corrected_data=corrected_data[['Open','High','Low','Close','Volume']]
corrected_data=corrected_data[~((corrected_data['High']==0) |
(corrected_data['Open']==0) |
(corrected_data['Close']==0) |
(corrected_data['Low']==0) |
(corrected_data['Volume']==0))]
print(corrected_data.shape)
print('<<< Extract Technical Indicators....')
corrected_data['SMA_10']=corrected_data['Close'].rolling(window=10).mean()
corrected_data['WMA_10']=WMA(corrected_data['Close'], timeperiod=10)
corrected_data['rsi']=RSI(corrected_data['Close'], timeperiod=10)
corrected_data['stoc_k'], corrected_data['stoc_d'] = STOCH(corrected_data['High'],corrected_data['Low'],corrected_data['Close'],10,6,0,6)
corrected_data['mom']=MOM(corrected_data['Close'], timeperiod=10)
corrected_data['macd'],_,_=MACD(corrected_data['Close'], fastperiod=12, slowperiod=26, signalperiod=10)
corrected_data['adosc']=ADOSC(corrected_data['High'], corrected_data['Low'], corrected_data['Close'], corrected_data['Volume'], fastperiod=3, slowperiod=10)
corrected_data['cci']=CCI(corrected_data['High'], corrected_data['Low'], corrected_data['Close'],timeperiod=10)
corrected_data['willr']=WILLR(corrected_data['High'], corrected_data['Low'], corrected_data['Close'],timeperiod=10)
null_value_checks(corrected_data)
corrected_data=corrected_data[~corrected_data['macd'].isnull()]
null_value_checks(corrected_data)
corrected_data_ta=corrected_data
print('<<< Completed extraction. Reading Forex Data....')
exchange_rate=pd.read_csv('./Data/GBP_USD.csv')
print(exchange_rate.head(2))
abertura = brsr6CSV['ABERTURA'].values
fechamento = brsr6CSV['FECHAMENTO'].values
abertura = brsr6CSV['ABERTURA'].values
minimo = brsr6CSV['MINIMO'].values
maximo = brsr6CSV['MAXIMO'].values
variacao = brsr6CSV['VARIACAO'].values
volume = brsr6CSV['VOLUME'].values
upBR, midBR, lowBR = BBANDS(fechamento,
timeperiod=20,
nbdevup=2,
nbdevdn=2,
matype=0)
ema = EMA(fechamento,
timeperiod=30) #curto prazo 21. Medio prazo 24. Longo prazo 89
wma = WMA(fechamento, timeperiod=30)
# Momentum Indicators
macd, macdsignal, macdhist = MACD(fechamento,
fastperiod=12,
slowperiod=26,
signalperiod=9)
# print('-----------------------------------MACD-----------------------------------')
# print(macd[34:37])
# print(macdsignal[34:37])
# print(macdhist[34:37])
#
rsi = RSI(fechamento, timeperiod=14)
# print('-----------------------------------RSI-----------------------------------')
# print(rsi[34:37])
# Momentum Indicators # Volume Indicators
def HMA(close, timeperiod=14):
import math
from talib import WMA
sqrt_period = math.sqrt(timeperiod)
wma1 = (2*WMA(close, timeperiod = int(timeperiod/2)))-WMA(close, timeperiod = timeperiod)
return WMA(wma1,timeperiod =int(sqrt_period))
def priceTechnicalIndicator(value, tot_lags, prefix):
lags = np.array(tot_lags)
lags = lags[lags >= 2]
data_result = pd.DataFrame([])
# MA series
for lag in lags:
# SMA
sma = pd.Series(SMA(value, timeperiod=lag), name='%sMA_%dD' % (prefix, lag))
data_result = pd.concat([data_result, sma], axis=1)
# SMA derivatives
tmp = ma_derivative_indicator(value, sma, 'MA', lag, prefix)
data_result = data_result.join(tmp)
# EMA
ema = pd.Series(EMA(value, lag), name='%sEMA_%dD' % (prefix, lag))
data_result = data_result.join(ema)
# EMA derivatives
tmp = ma_derivative_indicator(value, ema, 'EMA', lag, prefix)
data_result = data_result.join(tmp)
# WMA
wma = pd.Series(WMA(value, lag), name='%sWMA_%dD' % (prefix, lag))
data_result = data_result.join(wma)
# WMA derivatives
tmp = ma_derivative_indicator(value, wma, 'WMA', lag, prefix)
data_result = data_result.join(tmp)
# change percent
lags = tot_lags
for lag in lags:
tmp = pd.Series(value.diff(lag) / value.shift(lag), name='%sRET_%dD' % (prefix, lag))
data_result = data_result.join(tmp)
# volatility
lags = np.array(tot_lags)
lags = lags[lags >= 5]
for lag in lags:
tmp = pd.Series(value.rolling(window=lag).std(), name='%sSTD_%dD' % (prefix, lag))
data_result = data_result.join(tmp)
# technical indicators
lags = [7, 14, 21, 28] # ****** 待修改，技术指标的参数只用最常用的一套
for lag in lags:
# bollinger brands
tmp_upper, tmp_middle, tmp_lower = BBANDS(value, lag, 2, 2)
tmp_upper.name = '%sBBANDS_UPPER_%dD' % (prefix, lag)
tmp_lower.name = '%sBBANDS_LOWER_%dD' % (prefix, lag)
data_result = data_result.join(tmp_upper)
data_result = data_result.join(tmp_lower)
# MACD
tmp, tmp_signal, tmp_hist = MACD(value, 12, 26, lag)
tmp.name = '%sMACD_DIF_12_26D' % prefix # macd 对应 macd_dif 线
tmp_signal.name = '%sMACD_DEA_12_26_%dD' % (prefix, lag) # macd_signal 对应 macd_dea 线
tmp_hist = 2 * tmp_hist
tmp_hist.name = '%sMACD_12_26_%dD' % (prefix, lag) # 2 * macd_hist 对应 macd 线
if tmp.name not in data_result.columns: # macd_dif is the same for all lags
data_result = data_result.join(tmp)
data_result = data_result.join(tmp_signal)
data_result = data_result.join(tmp_hist)
return data_result